To put screenshots and such into SFM you either have to create a model such as a screen and apply your picture as a material to the model and animated materials (like an animated gif) do work in SFM, you just don't have control over where they start or end. They paly continuously.

As for adding clips, I personally haven't found a way to do it yet, but that being said, it looks like it may be possible looking at some of the options buried deep in the bowels of SFM. I think it's just a matter of time before some one has an AHA moment and discovers how to do it.

I'm afraid I don't have all the information right in front of me, but I know somewhere in the properties for a Take (one of those blocks, like a camera cut, on the main timeline) you can specify an AVI file to use as a source for that part of the movie. Images, I don't know about, but if it can process AVI files something tells me it can do that too.